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<p>This study explores dynamic volatility connectedness among traditional (Brent, WTI, Natural Gas), transitional (LPG, LNG), and clean energy markets (S&amp;P Clean Energy Index) over 2018–2024 using a TVP-VAR framework. The Geopolitical Risk Index (Caldara and Iacoviello <CitationRef CitationID="CR18">2022</CitationRef>) is incorporated to capture global tensions. Results show that oil benchmarks dominate in transmitting volatility, while transitional fuels and clean energy mostly absorb shocks. LNG acts as a net transmitter aligned with oil, whereas LPG is a net receiver sensitive to residential demand in emerging economies. Incorporating GPR lowers overall interconnectedness, highlighting its ability to distinguish geopolitical influences from market-specific dynamics. Systemic vulnerabilities intensify during crises, underscoring transitional fuels’ intermediary role between fossil and clean energy. These findings carry implications for policymakers and investors, stressing the need to integrate geopolitical risk, diversify energy portfolios, and address energy justice as volatility spillovers disproportionately affect developing economies.</p>

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Geopolitical risk and the asymmetric vulnerability of transitional fuels: TVP-VAR evidence from global energy markets

  • 期刊论文

  • 发表日期：

    2026年1月30日

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  • Hayfa Kazouz

摘要

This study explores dynamic volatility connectedness among traditional (Brent, WTI, Natural Gas), transitional (LPG, LNG), and clean energy markets (S&P Clean Energy Index) over 2018–2024 using a TVP-VAR framework. The Geopolitical Risk Index (Caldara and Iacoviello 2022) is incorporated to capture global tensions. Results show that oil benchmarks dominate in transmitting volatility, while transitional fuels and clean energy mostly absorb shocks. LNG acts as a net transmitter aligned with oil, whereas LPG is a net receiver sensitive to residential demand in emerging economies. Incorporating GPR lowers overall interconnectedness, highlighting its ability to distinguish geopolitical influences from market-specific dynamics. Systemic vulnerabilities intensify during crises, underscoring transitional fuels’ intermediary role between fossil and clean energy. These findings carry implications for policymakers and investors, stressing the need to integrate geopolitical risk, diversify energy portfolios, and address energy justice as volatility spillovers disproportionately affect developing economies.